Mass of the object and collsions
As your Cylinder should be presented as cylinder towards the physics too, you need to change the Properties/Physics/Collision Bounds/Bounds to Cylinder. You will see the dotted cage (representing the physics shape) will turn into a cylinder too. 

Hint: If the dotted mesh is not aligned correctly then turn the display mesh in edit mode that it fits.

Alternative: Bounds: Convex Hull or Triangle Mesh - be aware they are more expensive.

I hope it helps